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MRCI's ScenarioSM Study
ScenarioSM Study for August Feeder Cattle(CME) as of Apr 30, 2006
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years 7 26 30 31 31 33 33 34 34 34 34
Closed Higher 5 10 19 18 23 18 16 21 19 19 22
Exceeded High 5 5 17 17 19 12 13 17 16 18 18
Scenario Percentage 100% 50% 89% 94% 83% 67% 81% 81% 84% 95% 82%
Avg Max Increase 4.67% 3.59% 4.46% 5.65% 4.73% 6.84% 7.23% 6.23% 7.16% 6.52% 4.42%
Max Increase 7.53% 6.02% 11.09% 15.56% 16.73% 17.28% 24.60% 17.35% 14.63% 12.08% 13.56%
Avg Days To Max Increase 21 9 20 15 15 19 19 19 19 15 15
Avg Max Decline -1.32% -1.35% -1.10% -0.61% -1.28% -1.46% -1.26% -1.23% -1.54% -1.41% -0.95%
Max Decline -2.86% -3.21% -4.34% -2.40% -4.41% -5.00% -2.71% -3.56% -4.14% -4.71% -2.83%
Avg Days to Max Decline 17 8 9 11 8 6 12 11 9 6 3
2006 Contract Condition   Yes Yes Yes         Yes    
Action   Yes Yes Yes              
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Jun Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years 7 26 30 31 31 33 33 34 34 34 34
Closed Lower 2 16 11 13 8 15 17 13 15 15 12
Penetrated Low 2 9 6 7 6 12 14 8 8 10 9
Scenario Percentage 100% 56% 55% 54% 75% 80% 82% 62% 53% 67% 75%
Avg Max Decline 4.30% 5.17% 7.54% 5.28% 7.94% 6.02% 6.58% 7.53% 10.46% 5.65% 7.91%
Max Decline 6.29% 15.87% 15.49% 8.18% 16.93% 18.30% 12.76% 29.63% 15.85% 10.89% 43.47%
Avg Days To Max Decline 22 17 22 15 18 19 18 18 19 14 10
Avg Max Increase -1.68% -0.65% -0.51% -1.14% -1.09% -0.67% -1.70% -1.76% -1.51% -2.32% -2.80%
Max Increase -1.81% -2.35% -1.00% -2.29% -4.22% -2.00% -7.40% -4.29% -3.03% -6.78% -16.02%
Avg Days to Max Increase 16 6 5 5 7 5 10 10 12 7 8
2006 Contract Condition         Yes Yes Yes Yes      
Action         Yes Yes Yes Not Yet      
High 106.200 109.250 112.550 114.400 114.750 111.750 109.750 105.850 104.350    
Low 100.200 106.000 108.500 111.700 110.800 108.000 104.000 100.350 101.300    
Close/Last 106.200 109.050 112.375 114.400 111.425 108.975 104.100 102.075 104.300